10 citations · 18 across the 11 of their papers we have counts for
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q-fin.MF2020
Geometric Brownian motion with affine drift and its time-integral
Runhuan Feng, Pingping Jiang, Hans Volkmer
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit soluti…
q-fin.RM2020★ 10 cited
Pandemic risk management: resources contingency planning and allocation
Xiaowei Chen, Wing Fung Chong, Runhuan Feng +1
Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been obs…